In gear. The modern ECU's cut fuel completely when an engine is decelerating, but to hold idle, it will require fuel. Carbureted cars will and early fuel injection systems might fare better in neutral.

EDIT: wow, I thought everyone knew this when gas was reaching $4.50 a gal, it was all over most of the fuel saving tip lists and mentioned on Top gear and everything. You guys are stupid. Just because your intuition says lower RPM will ALWAYS use less gas, you allow yourself to give false information on a subject where you don't know the answer.